摘要
利用期望和方差的秩系数法、MTV模型、Morkowitz证券组合选择模型构造了一实用的投资决策系统.
A practical investment decision system is presented in this paper, according to rankorder correlation method specified to expectation and variance, MTV model and Markowitz portfolio selection model.
出处
《数学的实践与认识》
CSCD
北大核心
2008年第5期1-5,共5页
Mathematics in Practice and Theory
关键词
二次规划
证券组合
时间序列
协方差
秩相关系数
quadratic program
portfolio
time series
covariance
rank-order correlation
